Optimization of consumption with partial observation—Jensen inequality method
Volume 31 / 2004
Applicationes Mathematicae 31 (2004), 417-422
MSC: 93E11, 93E20, 60H10, 91B28, 91B70.
DOI: 10.4064/am31-4-3
Abstract
A solution to a model of optimal consumption with partial observation considered in [LOS] is presented. The approach is based on the Jensen inequality and does not require application of the filtering equation.
